Set up a VPN server on your router
Viscosity, a VPN client, has a great guide for setting up your own OpenVPN server on a DD-WRT router. Remember that there is a difference between using a VPN client and a VPN service – a VPN client only offers you a UI with which to access a VPN you or someone else is hosting, whereas a VPN service hosts and manages its own servers. Running your own VPN server doesn’t mean that you’ll be more secure on the internet, either. Once again, you’re moving the risk down the tunnel to the cloud hosting provider.